Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0191
Annualized Std Dev 0.2400
Annualized Sharpe (Rf=0%) 0.0794

Row

Daily Return Statistics

Close
Observations 4096.0000
NAs 1.0000
Minimum -0.1382
Quartile 1 -0.0052
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0061
Maximum 0.1522
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0151
Skewness 0.0000
Kurtosis 14.6735

Downside Risk

Close
Semi Deviation 0.0107
Gain Deviation 0.0120
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.7562
Historical VaR (95%) -0.0205
Historical ES (95%) -0.0371
Modified VaR (95%) -0.0202
Modified ES (95%) -0.0202
From Trough To Depth Length To Trough Recovery
2006-12-28 2009-03-09 2016-12-06 -0.7562 2503 551 1952
2020-01-17 2020-03-23 2021-02-24 -0.4228 278 45 233
2018-01-29 2018-12-24 2019-11-05 -0.1862 447 229 218
2005-07-29 2005-10-13 2006-09-27 -0.0877 294 54 240
2004-12-31 2005-04-20 2005-07-11 -0.0744 132 76 56

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA NA NA -0.4 -0.4
2005 -0.1 0.8 -0.3 1.1 0.9 0.9 -0.3 0.5 -0.5 -0.9 1.2 -0.7 2.4
2006 0.7 0.1 0.5 -0.9 1.9 -0.2 -0.4 -0.1 -1 -0.9 -0.2 -1.1 -1.7
2007 0.7 -1 -0.3 0.4 1.3 -0.2 0.9 0.7 2.6 -4.3 1.5 -0.8 1.3
2008 2.5 -4.1 5.3 3.8 -0.5 1 0.9 0.2 4.5 3.2 -13.8 3.1 4.7
2009 -2.9 -3.2 3.6 -0.7 2.9 1 0.1 -2.5 -2.9 -3.1 0.7 -1 -8
2010 0.7 1.1 0.4 -1.6 -1.9 -0.1 -0.1 2.8 0.1 -0.3 1.5 -0.4 2
2011 1.2 -1.6 0.6 0.4 -2 1.4 -0.2 -0.8 -1.8 -3 -0.8 -0.8 -7.3
2012 1.5 0.1 -0.1 0 -1.6 0.9 -0.5 0 -0.1 0.7 0.2 1.5 2.6
2013 0.6 0 -0.6 -1.3 -1.1 0.4 1.5 -0.9 0.6 0 0.3 0 -0.6
2014 -0.6 0.7 0.2 0 0.3 0.4 -0.2 0.5 -0.9 1 -0.2 -1 0.3
2015 -2.1 -0.1 -0.1 0.2 -0.1 0.5 0 -2.6 -0.6 0.1 0.4 -0.6 -5.1
2016 0.3 0.9 -0.2 0.3 0.2 0.1 -1.1 -0.3 0.7 -0.9 -0.5 -0.4 -0.8
2017 -0.6 0.9 0 -0.6 1.2 -0.1 0.2 0.5 -0.2 -0.3 -0.1 -0.2 0.6
2018 -1 0 0.7 -0.2 -0.3 -0.2 -0.9 -0.1 -0.2 0.9 0.6 0.6 -0.2
2019 0.1 0.8 0.8 -1.1 -1.2 0.1 -1.1 0.4 -1.3 1.4 -0.2 0.5 -0.7
2020 -1.3 -2.3 -4.4 -4.1 1 -1.3 -0.4 0.1 -0.2 0.2 0.9 0.7 -10.7
2021 0.7 2.2 -0.1 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart